I'd say Stellaris, which is a grand strategy game I've been playing for the last few weeks, but honestly, the difficulty is mostly artificial in that game. AI empires are dumb as rocks, but fast as Sonic the Hedgehog on a good day, and difficulty settings don't really improve their intelligence at all; they just give them bonuses that more easily compensate for their stupidity. Human players are the real threats, though for obvious reasons, they aren't a factor in single-player mode.
Honestly, I think in general terms, the Halo series has done a good job about this. I mean, I never noticed the AI getting smarter there either, but in the FPS genre, this matters less. The higher difficulty you play, the more you get punished for being out of position. This doesn't fully translate to the multiplayer, as human players are less predictable than AI under most circumstances and most multiplayer maps aren't structured in the same way campaign maps are, but you will definitely learn to appreciate cover after it has kept you from getting your face blown off by a deadeye Jackal sniper or three.